Econometrica: Mar, 1985, Volume 53, Issue 2
An Intertemporal General Equilibrium Model of Asset Prices
https://www.jstor.org/stable/1911241
p. 363-384
John C. Cox, Jonathan E. Ingersoll, Jr., Stephen A. Ross
This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices and their stochastic properties are determined endogenously. One principal result is a partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in the economy.